Congrats my man!! Gorgeous car!!
I don't have a lot of seat time in an SMG equipped Bimmer, but will say they do take a little getting used to. It's not really one of those things that can be easily explained with a few words on a page, rather learned from getting behind the wheel and doing a little trial and error. As for timing, keep in mind the SMG allows a few different "shifting programs" that will allow you to vary how aggressively you shift. There are more mild proms for day to day driving, all the way up to a track mode that will void your warranty if used, but allow one to have a ton of fun. Not that I've experienced that, just read about the smiles slapped unto the faces that have.
As for upgrades, if you wish to maintain your warranty, the only aftermarket parts to buy would be from Dinan. Dinan performance parts are available through your local BMW dealership, and are of good quality. I would however be quick to point out that while Dinan products are first rate, they are overpriced, and their company as a whole don't exactly lead the pack regarding innovation.
If your looking for out and out some of the best aftermarket componentry out there, I would look to Active Autowerke. They are very reputable, and were recently featured in last months Bimmer magazine for their work performed to a very similar e46 M3. Supercharger, suspension upgrades, the whole nine. If you can still find the issue in bookstores, pick it up, it will certainly give you insight to their thoroughness and knowledge of all things BMW. I have delt with these people personally, and will say they are good.
Beyond those two, check out turnermotorsport.com and bavauto.com as these are two other BMW outfitters that have been around for a long time, and are very reliable.
to the BMW community my friend. As time goes on, you will totally "get" what these cars are all about.